To attain the functionality the image which is bound to the RadGrid column should have a relative or absolute URL in order the resolver of the PDF exporter to localize the images and to export them to the PDF. In any other case this resolver could not know whether the exported element is an image.
If the problem persists, feel free to open a support ticket on this manner and send us a workable test project. Thus I will do my best to help you further.
the Telerik team
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